Trend-Following Backtester · Guide · backtest 한국어
equity · SA
Al Moammar Information Systems Company backtest
10 trend-following strategies were compared on the full daily history of Al Moammar Information Systems Company. 1 beat buy-and-hold CAGR; SMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Donchian 채널 돌파 (CAGR 38.4%, MDD -24.1%).
Results by strategy
1 of 10 beat buy and hold (CAGR 39.5%, drawdown -45.7%).
Sharpe leader (same as main): SMA 크로스오버 — CAGR 43.3%, MDD -29.3%, Sharpe 1.42, 58% exposure.
Return/drawdown alternative: Donchian 채널 돌파 — CAGR is 3.8%p higher than buy and hold, while drawdown improves by 16.4%p (CAGR 38.4%, MDD -24.1%, exposure 49%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| SMA 크로스오버 fast=51, slow=159 |
43.3% | -29.3% | 1.42 | 1.48 | 14.1x | 11 | 58% |
| Donchian 채널 돌파 entryN=81, exitN=48 |
38.4% | -24.1% | 1.37 | 1.60 | 10.9x | 9 | 49% |
| MACD fast=40, slow=60, signal=41 |
37.6% | -30.2% | 1.30 | 1.24 | 10.4x | 23 | 58% |
| Supertrend period=22, mult=3.7 |
36.5% | -32.3% | 1.27 | 1.13 | 9.8x | 31 | 62% |
| 볼린저 밴드 돌파 n=31, k=3.4 |
24.2% | -18.0% | 1.23 | 1.34 | 4.9x | 15 | 23% |
| EMA 크로스오버 fast=30, slow=93 |
36.4% | -35.9% | 1.23 | 1.01 | 9.8x | 15 | 59% |
| ADX / DI 방향성 period=26, threshold=25 |
25.0% | -18.5% | 1.21 | 1.35 | 5.1x | 17 | 27% |
| ROC 모멘텀 n=149, threshold=0.03 |
33.9% | -43.0% | 1.20 | 0.79 | 8.6x | 33 | 58% |
| Keltner 채널 돌파 emaPeriod=34, atrPeriod=27, mult=1.1 |
27.5% | -44.8% | 1.07 | 0.61 | 6.0x | 65 | 53% |
| Parabolic SAR step=0.04, maxStep=0.08 |
17.0% | -40.8% | 0.73 | 0.42 | 3.2x | 138 | 57% |
| Buy and hold | 39.5% | -45.7% | 1.14 | 0.87 | 11.6x | 1 | 100% |
Rules of the top strategy
When the short average rises above the long average, it reads that as an uptrend starting.
- Buy — Buy when the 51-day average price crosses above the 159-day average
- Sell — Sell (to cash) when the 51-day average falls below the 159-day average